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Question 2 . The current price of a non-dividend paying stock is $35. Use a two-step tree...

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Finance

Question 2 .

The current price of a non-dividend paying stock is $35. Use atwo-step tree to value an American put option on the stock with astrike price of $33 that expires in 12 months. Each step is 6months, the risk free rate is 6% per annum (continuouslycompounding), and the volatility is 15%. What is the option price?Show work in detail and use a tree diagram (Use 4 decimalplaces).

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Question 2 .The current price of a non-dividend paying stock is $35. Use atwo-step tree to value an American put option on the stock with astrike price of $33 that expires in 12 months. Each step is 6months, the risk free rate is 6% per annum (continuouslycompounding), and the volatility is 15%. What is the option price?Show work in detail and use a tree diagram (Use 4 decimalplaces).

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